Browsing by Subject "Investment analysis"
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Item A comparison of alternative models of the relationship between promised yields on risky bonds and promised yields on risk-free bonds(Texas Tech University, 1997-08) Yeager, Jack E.The main purpose of this study is to compare the expected yields on bonds that are similar in all respects except their default risk, in an attempt to determine whether a relationship exists; and if so, whether the relationship between these yields is best explained by the Yawitz model, the Pye model or the Wu model. If the marginal investors in risky bonds are risk neutral and the bond market is efficient in the sense that promised risky bond yields are grossed up for default risk so that the expected retum equals the investors required retum, then the realized retum on two bond portfolios that differ only with respect to default risk should equal the risk-free rate, on average. This result would be consistent with the model proposed by Yawitz (1977). Conversely, if the marginal investor in risky bond markets is risk averse and bond markets are efficient, then the realized retum on two bond portfolios that differ only with respect to default risk must, on average, vary by a premium to compensate risk averse investors in risky bonds for the uncertainty of the investment. If this additional risk premium is unrelated to the level of the risk-free rate then the results would be consistent with the model proposed by Pye (1974). If this premium varies proportionally with the level of the risk-free rate then the results would be consistent with the model suggested by Wu (1991). If the study provides evidence suggesting the presence of an additional risk premium, additional tests will be conducted to determine whether the premium is stable over time.Item Evaluation and comparison of management strategies by Data Envelopment Analysis with an application to mutual funds(2006) Wilson, Chester L.; Cooper, William W.; Ruefli, Timothy W.Item An examination of investors' use of nonfinancial measures(2004) Jackson, Kevin Edward; Koonce, Lisa LynnIn this dissertation, I examine investors’ use of nonfinancial measures (e.g., customer satisfaction) on two dimensions. First, I consider the relevance of nonfinancial measures for investors and introduce a prescriptive four-step model for using such measures in conducting fundamental valuation. A model that articulates how investors can use nonfinancial measures is important because such measures can provide forwardlooking information that is not available from traditional accounting measures. However, nonfinancial measures only benefit investors if they can interpret and integrate the measures with other available information. Performing these tasks with nonfinancial measures is difficult for investors because they observe nonfinancial measures presented in a variety of ways, as no standards currently exist regarding such disclosures. The model provides a framework for investors to realize the benefits of using nonfinanical measures by articulating a process that facilitates interpreting and integrating these measures to make investment-related judgments in the current financial reporting environment. My dissertation also considers investors’ judgment problems associated with observing nonfinancial measures presented in various ways. Specifically, I conduct an experiment to investigate judgment problems that investors encounter when they observe nonfinancial measures presented using different scales (i.e., nominal, ordinal, interval, or ratio). My results provide evidence that investors rely more on a nonfinancial measure when its scale matches the scale the investor uses for his judgment, at the expense of an equally relevant measure whose scale does not match his judgment scale (termed a scale compatibility effect). Importantly, the effect exists in investors’ valuation-related judgments (e.g., assessments of price-earnings multiples). My results also show that the scale compatibility effect is reduced when investors evaluate several values for nonfinancial measures simultaneously. Implications of these results are discussed.Item Information content of bank loan announcements(Texas Tech University, 1996-05) Boscaljon, Brian L.This study contributes to the understanding of the information content of bank loan announcements. More specifically this study examines individual borrowing firm common stock price reactions to three different aspects associated with bank loan announcements: the amount of information available prior to the loan armouncement, the uncertainty of the borrower's credit worthiness, and the loan purpose that may imply confidential information. The findings of this study provide additional insights regarding the role of commercial banks as information producers, information gatherers and monitors of confidential information. The results of this study suggest that the number of analysts is an important determinant of the information content of bank loan announcements. The amount of information conveyed through loan announcements is inversely related to the number of analysts. These findings suggest the amount of information available for a borrowing firm is an important determinant for information content in bank loan announcements. After controlling for the amount of available information, excess stock returns are significant at the 1% level for announcements for both new loans and renewals where the stated purpose of the loan was for capital expenditures. Positive excess stock returns are also significant for loan aimouncements where the amount of the loan relative to the market size of the fum is large. This evidence supports the hypothesis that bank loans signal confidential information.Item On the conditional forecast of the market risk premium and its economic significance from a long time series perspective(Texas Tech University, 2002-05) Peng, ZhuomingThe equity return data in Wilson and Jones (2002) used in this dissertation previously has not been available for research. This dissertation also is the first attempt in the literature to examine the forecastibility of the annual market risk premium with nonoverlapping observations. Forecasts of the market risk premium obtained with the regression models specified in Equations (3,6a) and (3,6b) and Equations (3,10a) and (3,10b) of this dissertation represent a new approach in the literature. Aggregate leverage variable and the levels of the previous market risk premiums are new variables employed in the regression models. By employing the longest equity return data for the last 130 years and the new regression models, the empirical evidence found in this dissertation generally indicates that the dividend yield series does posses the forecasting power towards the expected market risk premiums. The new testing models represented by Equations (3,6a) and (3,6b) appear to be good forecasting models. Especially, the conditional volatility estimated by EGARCH (1,1) specification can help to forecast the level of the expected market excess returns sampled with three different intervals, namely, annual, quarterly, and monthly. However, the relationship between the conditional mean, i,e,, the return, and the conditional volatility, i.e.,, the risk, of the expected return appears to be less correlated over time. The relationship between the monthly conditional mean and its conditional volatility from January 1914 to December 1956 remains negative, despite the fact that the short-term T-bill rates have been excluded from the set of explanatory variables. In addition, this relationship is not statistically significant in the last subperiod, January 1957 to December 1999, As such, it remains to be seen how financial economists may explain these puzzles in future research. Both quarterly and monthly ex ante market risk premiums appear to have mean-reverting tendencies. The monthly forecasting models do appear possessing economic significance. The evidence of the aggregate leverage {AL) having forecasting value is weak in the annual data, but there is some evidence that the AL variable may forecast the monthly and quarterly excess returns. Last but not least, the "manufactured" annual dividend yield data from 1802 to 1870 in Schwert (1990) does not appear having forecasting values.Item Predictability of contract failure in the U.S. financial futures markets(Texas Tech University, 1998-08) Suh, Jeong HoDerivatives markets have seen a great deal of changes for the last few decades. Many new contracts have been introduced to the public. Many new exchanges have been established worldwide. More than anything else, the number of participants in derivatives markets has increased in a dramatic fashion probably because of the potential capability of risk management and attractive speculative opportunities that exist in those markets. In the midst of this fastgrowing trend, futures exchanges have been very active in introducing new contracts to meet investor's needs for hedging and speculation. However, it is quite surprising that only one quarter to one third of new innovations have achieved economically viable trading volume in the following years, whereas exchanges commonly spend $300,000 to $2,000,000 for development and marketing of a new contract. The main objective of this dissertation is to examine the predictability of contract failure in futures markets. Motivated by the fact that the current literature disregards the time-series predictability of a model, we investigate whether we can predict failure of a contract using already existing information. In order to achieve this goal, we employ a survival analysis model which provides two major benefits. First, a survival analysis model can simultaneously deliver the information about the probability and timing of contract failure. This model is based on the dichotomous classification of the dependent variable, which has not been formally attempted for a general econometric model in this area. Second, a survival analysis model enables us to accommodate both time-series and crosssectional variations in a panel data set. Previous research is only concerned with the cross-sectional dimension of the relationship between contract success and "determinants."Item Relationship between oil prices and perceived investment potential in the hospitality industry(Texas Tech University, 1985-12) Keefer, MarkThe purpose of this study was threefold: first, to investigate the relationship between the perceived investment potential of restaurant corporations located in Texas, Oklahoma and Louisiana in relation to the declining spot-market price of West Texas Intermediate crude oil; second, to investigate the relationship between the perceived investment potential of restaurant corporations located in Texas, Oklahoma and Louisiana in relation to the Dow Jones Industrial Average; third, to determine if investors viewed a difference between investing in restaurant corporations located in Texas, Oklahoma and Louisiana and investing in restaurant corporations located in other parts of the United States. These relationships were investigated for a seven month period commencing November 1, 1985 and ending June 30, 1986. The results of this study indicate that the declining oil prices did not play a major role in investors perceptions of future profitability of restaurant corporations located in Texas, Oklahoma and Louisiana. The results also indicate that the same factor which has caused the stock prices of the entire stock market to increase in value has also caused the stock price of these restaurant corporations to increase in value. The results also indicate that investors perceive no difference between investing in restaurant corporations located in Texas, Oklahoma and Louisiana and restaurant corporations located in other parts of the United States.Item Some empirical tests on the arbitrage pricing theory: a portfolio approach(Texas Tech University, 1988-05) Lee, SooyulThis study proposes a portfolio approach to reduce the factor specification problem in tests of the Arbitrage Pricing Theory. In portfolios, a more stable, reliable, and representative factor structure estimate is expected than in individual securities mainly due to the diversification of nonpervasive factors and measurement errors. Application of Confirmatory Factor Analysis to contemporaneous holdout samples across 5 different grouping schemes and 6 different portfolio sizes indicates two sets of main empirical evidence in favor of a portfolio approach. (1) Regardless of the portfolio size and the grouping scheme. Explanatory Factor Analysis (EFA) extracts only on(verifiable factor, suggesting that one-factor structure is the true underlying factor structure in EFA. (2) clearcut consistent pattern of an increasingly distinct one-factor structure across all grouping schemes is shown mainly due to the rapid degradation in the performance of the 0-factor model, as the portfolio size increases. The rapid degradation of the 0-factor model appears to be a clear evidence in favor of the main thrust of this study that, as the portfolio size increases, the noisy terms of measurement error and uniqueness become diversified away and, as a result, a more distinct one (true) factor structure is revealed. Tests of a hybrid model indicate that the market factor is of equivalent explanatory value, and that market model residuals do not contain any information which can be extracted by factor-analytic techniques. Tests of GLS indicate that the portfolio size effect on the pricing tests appears to be significant only under the 'firm size' grouping scheme. The possibility of an alternative factor structure, or of factors which cannot be inferred from factor analysis, cannot be ruled out.Item The benchmark error problem and international asset pricing: an empirical examination(Texas Tech University, 1999-12) Perrina, Virginio MarioNot availableItem The effects of auditors' reports on internal accounting controls upon investment analyses made by financial analysts and bank loan officers: an empirical study(Texas Tech University, 1980-12) Boyett, Arthur SNot available